83 lines
2.3 KiB
Python
83 lines
2.3 KiB
Python
# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for piker0)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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'''
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Stream format enforcement.
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'''
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from itertools import chain
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from typing import AsyncIterator
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def iterticks(
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quote: dict,
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types: tuple[str] = (
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'trade',
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'dark_trade',
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),
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deduplicate_darks: bool = False,
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) -> AsyncIterator:
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'''
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Iterate through ticks delivered per quote cycle.
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'''
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if deduplicate_darks:
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assert 'dark_trade' in types
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# print(f"{quote}\n\n")
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ticks = quote.get('ticks', ())
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trades = {}
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darks = {}
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if ticks:
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# do a first pass and attempt to remove duplicate dark
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# trades with the same tick signature.
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if deduplicate_darks:
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for tick in ticks:
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ttype = tick.get('type')
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time = tick.get('time', None)
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if time:
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sig = (
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time,
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tick['price'],
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tick.get('size')
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)
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if ttype == 'dark_trade':
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darks[sig] = tick
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elif ttype == 'trade':
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trades[sig] = tick
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# filter duplicates
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for sig, tick in trades.items():
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tick = darks.pop(sig, None)
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if tick:
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ticks.remove(tick)
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# print(f'DUPLICATE {tick}')
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# re-insert ticks
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ticks.extend(list(chain(trades.values(), darks.values())))
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for tick in ticks:
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# print(f"{quote['symbol']}: {tick}")
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ttype = tick.get('type')
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if ttype in types:
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yield tick
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